Credit Suisse: Risk-reward for CHF shorts has shifted

Credit Suisse analysts suggest that a number of developments have provided a shift of risk-reward for CHF shorts. First, they note that the SNB has started to intervene in the FX market. Further, data points to a large negative impact on the economy from the exchange rate shock and yields outside of Switzerland are rising. Also, valuation remains stretched and finally, a resolution in Greece would be another catalyst for a EUR/CHF rally. Credit Suisse recommends buying a 3-month USDCHF 0.97 call RKO, a 3-month OTM EURCHF 1.11 call and buying CHFSEK at market.